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A popular approach for estimating an unknown signal from noisy, linear measurements is via solving a so called \emph{regularized M-estimator}, which minimizes a weighted combination of a convex loss function and of a convex (typically,…

Penalized likelihood and quasi-likelihood methods dominate inference in high-dimensional linear mixed-effects models. Sampling-based Bayesian inference is less explored due to the computational bottlenecks introduced by the random effects…

Consider the problem of estimating a low-rank matrix when its entries are perturbed by Gaussian noise. If the empirical distribution of the entries of the spikes is known, optimal estimators that exploit this knowledge can substantially…

Approximate Message Passing (AMP) algorithms provide a valuable tool for studying mean-field approximations and dynamics in a variety of applications. Although these algorithms are often first derived for matrices having independent…

Generalized Vector Approximate Message Passing (GVAMP) is an efficient iterative algorithm for approximately minimum-mean-squared-error estimation of a random vector $\mathbf{x}\sim p_{\mathbf{x}}(\mathbf{x})$ from generalized linear…

The Convex Gaussian Min-Max Theorem (CGMT) has emerged as a prominent theoretical tool for analyzing the precise stochastic behavior of various statistical estimators in the so-called high dimensional proportional regime, where the sample…

This paper investigates the minimum mean square error (MMSE) estimation of x, given the observation y = Hx+n, when x and n are independent and Gaussian Mixture (GM) distributed. The introduction of GM distributions, represents a…

This paper studies the problem of power allocation in compressed sensing when different components in the unknown sparse signal have different probability to be non-zero. Given the prior information of the non-uniform sparsity and the total…

We propose a framework, named Aggregated Wasserstein, for computing a dissimilarity measure or distance between two Hidden Markov Models with state conditional distributions being Gaussian. For such HMMs, the marginal distribution at any…

This paper considers mean square error (MSE) analysis for stochastic gradient sampling algorithms applied to underdamped Langevin dynamics under a global convexity assumption. A novel discrete Poisson equation framework is developed to…

This paper explores the distance-based relative state estimation problem in large-scale systems, which is hard to solve effectively due to its high-dimensionality and non-convexity. In this paper, we alleviate this inherent hardness to…

A simple yet efficient method of linear regression estimation (LRE) is presented for quantum state tomography. In this method, quantum state reconstruction is converted into a parameter estimation problem of a linear regression model and…

Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions…

This paper applies a custom model order reduction technique to the distribution grid state estimation problem. Specifically, the method targets the situation where, due to pseudo-measurement uncertainty, it is advantageous to run the state…

Gaussian comparison theorems are useful tools in probability theory; they are essential ingredients in the classical proofs of many results in empirical processes and extreme value theory. More recently, they have been used extensively in…

SLOPE is a relatively new convex optimization procedure for high-dimensional linear regression via the sorted l1 penalty: the larger the rank of the fitted coefficient, the larger the penalty. This non-separable penalty renders many…

The recent success of State-Space Models (SSMs) in sequence modeling has motivated their adaptation to graph learning, giving rise to Graph State-Space Models (GSSMs). However, existing GSSMs operate by applying SSM modules to sequences…

Approximate message passing (AMP) type algorithms have been widely used in the signal reconstruction of certain large random linear systems. A key feature of the AMP-type algorithms is that their dynamics can be correctly described by state…

An estimation problem of fundamental interest is that of phase synchronization, in which the goal is to recover a collection of phases using noisy measurements of relative phases. It is known that in the Gaussian noise setting, the maximum…

Approximate message passing (AMP) has emerged both as a popular class of iterative algorithms and as a powerful analytic tool in a wide range of statistical estimation problems and statistical physics models. A well established line of AMP…